Finance

IRTC Move Probability $113.63 -0.37 (-0.3%)

Real historical back-data analysis: evaluates rolling trading-day windows to determine the probability of a stock touching or closing at your target move.

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Touch Probability (First Passage)
65.6%
Stock touched +5.0% ($119.31) at least once during 14 trading days.
Median first touch: Day 4 of 14
Expiration Close Probability
30.1%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.18x
You are 2.2x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±11.1%
$101.00 — $126.26

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 508 historical windows (2024-09-23 to 2026-10-21). The colored bar indicates the win zone for +5.0%.

-24.6% to -20.3%: 4 occurrences (0.8%) -22.5% -20.3% to -16.1%: 10 occurrences (2.0%) -16.1% to -11.9%: 27 occurrences (5.3%) -11.9% to -7.6%: 51 occurrences (10.0%) -9.7% -7.6% to -3.4%: 80 occurrences (15.7%) -3.4% to +0.9%: 90 occurrences (17.7%) +0.9% to +5.1%: 94 occurrences (18.5%) 3.0% +5.1% to +9.4%: 53 occurrences (10.4%) +9.4% to +13.6%: 33 occurrences (6.5%) +13.6% to +17.9%: 21 occurrences (4.1%) 15.7% +17.9% to +22.1%: 12 occurrences (2.4%) +22.1% to +26.4%: 8 occurrences (1.6%) +26.4% to +30.6%: 6 occurrences (1.2%) 28.5% +30.6% to +34.8%: 9 occurrences (1.8%) +34.8% to +39.1%: 5 occurrences (1.0%) +39.1% to +43.3%: 5 occurrences (1.0%) 41.2%
Historical returns Target move zone (+5.0%+) Target threshold bin

Probability Breakdown: Empirical vs. Theoretical Models

Comparing actual market back-data against Black-Scholes and Fat-Tail adjustments.

Model / Methodology Touch Probability Expiration Close Probability What It Tells You
Empirical Back-Data (Actual History) 65.6% 30.1% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 18.3% Adjusts normal bell curve for real-world skewness (1.3) and kurtosis (7.48).
Standard Normal (Black-Scholes / GBM) 66.1% 33.0% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 65.1% 21.5% Filters for historical windows that started with volatility similar to current 20-day HV (209 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 47.1%
  • Recent 20-Day HV: 30.4%
  • Parkinson Intraday Volatility: 37.8%
  • Vol Trend: Compressed (-36% vs baseline)

14-Day Return Quantiles

  • Median Return: +0.6%
  • Top 10% Move (90th percentile): +16.9%
  • Bottom 10% Move (10th percentile): -10.3%
  • Max Historical Gain (14d): +43.3%
  • Max Historical Loss (14d): -24.6%